Abstract

CONTRERAS, HAROLD; ACOSTA, CARLOS DANIEL  and  AGUIRRE, LORENA. Numerical solution of a nonlocal and nonlinear Black-Scholes model by means of discrete mollification. Rev.colomb.mat. [online]. 2017, vol.51, n.2, pp.195-220. ISSN 0034-7426.

In this paper, we study a nonlinear nonlocal Black-Scholes model by means of the methods of finite differences, numerical integration and discrete mollification. In this model, conditions for stability and convergence of the discretization proposed are discussed.

Keywords : Non local Black-Scholes equation; finite differences; discrete mollification.

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